Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0121
Annualized Std Dev 0.1569
Annualized Sharpe (Rf=0%) -0.0774

Row

Daily Return Statistics

Close
Observations 3792.0000
NAs 1.0000
Minimum -0.1369
Quartile 1 -0.0035
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0042
Maximum 0.1162
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0099
Skewness -1.2058
Kurtosis 29.9138

Downside Risk

Close
Semi Deviation 0.0075
Gain Deviation 0.0070
Loss Deviation 0.0089
Downside Deviation (MAR=210%) 0.0123
Downside Deviation (Rf=0%) 0.0075
Downside Deviation (0%) 0.0075
Maximum Drawdown 0.6121
Historical VaR (95%) -0.0129
Historical ES (95%) -0.0242
Modified VaR (95%) -0.0134
Modified ES (95%) -0.0134
From Trough To Depth Length To Trough Recovery
2006-12-07 2008-12-16 NA -0.6121 3595 510 NA
2006-04-10 2006-07-03 2006-12-05 -0.1411 167 59 108
2006-03-01 2006-04-04 2006-04-06 -0.0007 27 25 2

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA -0.1 0.1 0.3 0 -0.2 0.5 0.4 -0.3 0.7 -0.1 -0.1 1.2
2007 -0.6 -0.1 1 -0.1 -0.9 0.3 -0.5 1.3 0.4 -0.1 1.2 1.3 3.3
2008 0.5 -3.1 0.8 0.7 -0.9 -0.2 -0.5 0.3 3.7 3.7 -1.8 0.7 3.8
2009 -0.9 -1.7 1 0.5 -1.6 -0.1 0.3 0.6 -0.2 -0.2 0.1 0.1 -2
2010 1.1 0.4 0.7 -1.3 0.2 0.9 1.1 -0.2 0.5 -0.3 -0.6 2.3 4.9
2011 0.6 1.1 0.4 0.5 -0.4 0.8 1.3 0.8 0.9 0.5 0.1 0.6 7.5
2012 0.8 0.2 0.7 0.4 0.4 0.3 -0.2 0.1 0.3 0.5 0.5 1 5.2
2013 -0.2 -0.1 0 0 -1.9 0.4 -1.5 -0.5 0.3 -1.2 0.6 -0.2 -4.2
2014 0.5 0.4 -0.1 0.3 -0.7 -0.4 0.1 0.4 0.1 -0.1 -0.4 0.3 0.3
2015 0.7 0.5 0.5 -0.4 0 -0.4 0.6 -0.1 0.3 -0.3 0.4 0.5 2.3
2016 0 0.8 0.8 0.7 0.5 0.2 0.2 0.2 0.2 -0.3 -0.9 -0.1 2
2017 -0.5 -0.2 -0.1 -0.1 0.3 0.4 0.7 0.1 -0.8 -0.3 0.7 0.3 0.5
2018 -0.1 -0.2 0.2 0.4 -0.2 0.2 0.5 0.5 0.9 0.5 0.6 0.4 3.9
2019 0.9 0.4 0.2 0.6 0.3 -0.3 0.7 0.2 1.3 -0.6 0.5 -0.6 3.5
2020 0.2 -4.8 -2.8 0.7 0.1 -0.7 0.4 0.8 0.6 0.3 0 -0.2 -5.3
2021 0.4 0.4 0.2 NA NA NA NA NA NA NA NA NA 0.9

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart